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Stopped Doob inequality for p-TH moment, 0 < p < ∞, stochastic convolution integrals

Hamedani, H. D ; Sharif University of Technology | 2001

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  1. Type of Document: Article
  2. DOI: 10.1081/SAP-120000221
  3. Publisher: 2001
  4. Abstract:
  5. We give stopped Doob inequalities for p-th moment, 0 < p < ∞, of stochastic convolution integrals ∫(0,t| U(t,s)φs-dMs in a Hilbert space, where M is a Hilbert space-valued cadlag square integrable martingale, φ is an operator-valued predictable process and U(t,s) is a contraction-type evolution operator. We also generalize the previous results and try to get smaller constants
  6. Keywords:
  7. Contraction-type evolution operator and martingale ; Stochastic convolution integral ; Stopped Doob inequality
  8. Source: Stochastic Analysis and Applications ; Volume 19, Issue 5 , 2001 , Pages 771-798 ; 07362994 (ISSN)
  9. URL: https://www.tandfonline.com/doi/abs/10.1081/SAP-120000221